Maximum Likelihood Ratio based small-sample tests for random coefficients in linear regression

Max Petzold and Robert Jonsson
Additional contact information
Max Petzold: Department of Statistics,, Postal: School of Economics and Commercial Law, Göteborg University, Box 640, SE 405 30 GÖTEBORG
Robert Jonsson: Department of Economics, School of Economics and Commercial Law, Göteborg University, Postal: Göteborg University, Box 640, SE 405 30 GÖTEBORG

No 102, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: Two small-sample tests for random coefficients in linear regression are derived from the Maximum Likelihood Ratio. The first test has previously been proposed for testing equality of fixed effects, but is here shown to be suitable also for random coefficients. The second test is based on the multiple coefficient of determination from regressing the observed subject means on the estimated slopes. The properties and relations of the tests are examined in detail, followed by a simulation study of the power functions. The two tests are found to complement each other depending on the study design: The first test is preferred for a large number of observations from a small number of subjects, and the second test is preferred for the opposite situation. Finally, the robustness of the tests to violations of the distributional assumptions is examined.

Keywords: Exact test; Hypothesis test; Maximum Likelihood; Pre-test; Random coefficient regression (search for similar items in EconPapers)
JEL-codes: C12 C23 C52 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2003-08-25
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/2077/2813 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:gunwpe:0102

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers in Economics from University of Gothenburg, Department of Economics Department of Economics, School of Business, Economics and Law, University of Gothenburg, Box 640, SE 405 30 GÖTEBORG, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Jessica Oscarsson ().